Visual Studio Code – Is there a way to check which line or function threw the exception I caught?

You can use the StackTrace proprty of the Exception:

A string that describes the immediate frames of the call stack. If no
stack trace is available (such as prior to stack unwinding from a
throw statement), the value is null.

This string will give you the stack of function calls leading to the exception, including the line number for each call. If you have multiple calls to the function throwing the exception, you can find out exactly which call triggered it from the line number.

This is demonstrated in the test below:

using System;

namespace Test
{
    class Program
    {
        static void f1() {}

        static void f2() {}

        static void f3(int n) { if (n == 2) throw new Exception(); }  // line 11

        static void Main(string[] args)
        {
            try
            {
                f1();
                f2();
                f3(1);
                f3(2);   // line 20
                f3(3);
            }
            catch (Exception e)
            {
                var st = e.StackTrace;
                Console.WriteLine(st);
            }
        }
    }
}

Output:

   at Test.Program.f3(Int32 n) in C:<...>Program.cs:line 11
   at Test.Program.Main(String[] args) in C:<...>Program.cs:line 20

As you can see, the call to f3 was originated in Main, line 20 (the call with n==2).

Note:
The output above was acquired from a Debug build. In Release build some information might be missing or inaccurate (due to optimizations etc.).